Geometric singular perturbation theory for stochastic differential equations. (Q1874495): Difference between revisions

The authors consider the location of sample paths to the slow and fast system perturbed by noise \[ dx_t=\varepsilon^{-1} f(x_t,y_t, \varepsilon) dt+\sigma \varepsilon^{-\frac 12}F(x_t,y_t, \varepsilon) dW_t, \] \[ dy_t=g(x_t,y_t,\varepsilon) dt+\sigma'G(x_t,y_t, \varepsilon) dW_t, \] where \(x \in\mathbb{R}^n, y \in\mathbb{R}^m\), \(W_t\) denotes the \(k\)-dimensional standard Brownian motion, \(F\) and \(G\) are matrix-valued functions and \(\varepsilon\) is a small parameter. Among others, upper and lower bounds for the probability of the first exit time from a given Borel measurable set are obtained.